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Solving nonlinear dynamic models on parallel computers

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  • Wilbur John Coleman II

Abstract

This paper describes an algorithm that takes advantage of parallel computing to solve discrete-time recursive systems that have an endogenous state variable.

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Bibliographic Info

Paper provided by Federal Reserve Bank of Minneapolis in its series Discussion Paper / Institute for Empirical Macroeconomics with number 66.

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Date of creation: 1992
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Handle: RePEc:fip:fedmem:66

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Keywords: Econometric models;

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References

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  1. Lucas, Robert E, Jr & Stokey, Nancy L, 1987. "Money and Interest in a Cash-in-Advance Economy," Econometrica, Econometric Society, Econometric Society, vol. 55(3), pages 491-513, May.
  2. Brock, William A. & Mirman, Leonard J., 1972. "Optimal economic growth and uncertainty: The discounted case," Journal of Economic Theory, Elsevier, Elsevier, vol. 4(3), pages 479-513, June.
  3. Taylor, John B & Uhlig, Harald, 1990. "Solving Nonlinear Stochastic Growth Models: A Comparison of Alternative Solution Methods," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 8(1), pages 1-17, January.
  4. Scheinkman, Jose A & Weiss, Laurence, 1986. "Borrowing Constraints and Aggregate Economic Activity," Econometrica, Econometric Society, Econometric Society, vol. 54(1), pages 23-45, January.
  5. Ayse Imrohoroglu & Edward C. Prescott, 1991. "Evaluating the welfare effects of alternative monetary arrangements," Quarterly Review, Federal Reserve Bank of Minneapolis, Federal Reserve Bank of Minneapolis, issue Sum, pages 3-10.
  6. Jeremy Greenwood & Gregory W. Huffman, 1992. "On the existence and uniqueness of nonoptimal equilibria in dynamic stochastic economies," Staff Report, Federal Reserve Bank of Minneapolis 151, Federal Reserve Bank of Minneapolis.
  7. John Coleman, Wilbur II & Gilles, Christian & Labadie, Pamela, 1992. "The liquidity premium in average interest rates," Journal of Monetary Economics, Elsevier, Elsevier, vol. 30(3), pages 449-465, December.
  8. Coleman, Wilbur John, II, 1990. "Solving the Stochastic Growth Model by Policy-Function Iteration," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 8(1), pages 27-29, January.
  9. Lucas, Robert E, Jr, 1980. "Equilibrium in a Pure Currency Economy," Economic Inquiry, Western Economic Association International, Western Economic Association International, vol. 18(2), pages 203-20, April.
  10. Aiyagari, S. Rao & Gertler, Mark, 1990. "Asset Returns With Transactions Costs And Uninsured Individual Risk: A Stage Iii Exercise," Working Papers, C.V. Starr Center for Applied Economics, New York University 90-43, C.V. Starr Center for Applied Economics, New York University.
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Cited by:
  1. Mathur, Sudhanshu & Morozov, Sergei, 2009. "Massively Parallel Computation Using Graphics Processors with Application to Optimal Experimentation in Dynamic Control," MPRA Paper 16721, University Library of Munich, Germany.
  2. Christopher A. Swann, 2001. "Software for parallel computing: the LAM implementation of MPI," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 16(2), pages 185-194.

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